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If they are mirrors, and you backtested set capital, I think you would want to keep it that while trading. If they systems are different and trying to capitalize on different market conditions (volatility or trend vs chop, not direction) I would say swing capital to what is working more...

Not sure what tEWT does now, but I would interview if I was you and had the chance.

Depends. Are the stratagies the same/mirror images of each other? If one is trend following and one is range bound, teh answer is different than if they are looking to the same type of behavior, jsut different directions. The other question, is what did you do when you back tested them?

It all depends on your long term view. If you want out, sell optiosn equl to teh exercise so that you get all of the premium out. Then in effect you are flat. All depends wether you belive in teh comapny or not.

Just like core cpi vs regular cpi. Lets strip out everything we don't like!!! No matter if it is the mowst important part!!

Touche. I'm working on creating systems to trade/add. I'm sure it also depends on what systems you have etc. I was looking for direction in what kind of system would be good to add on. I guess I will get to work on building one of each to see which works better!!!

You could just drop any stock that drops below $20 or something like that. That way you stop trading it before it gets delisted. You get rid of it before they do.

Because both of you guys seem to be pretty good on this stuff, when adding systems, would you prefer to add a negativly correlated system, or a system with zero correlation? I could see the arguements for either.

I'm not quite to that point yet. I have a couple of more things that I will try before I really give up on it. Not sure if you would like it. It doesn't use any trend or momentum stuff. LOL If I do get to the point where I think it is useless, I will post it.

Thanks for the reply. It is a mean reversion system. I seems so weird that it survived (in theory) Through the tech bubble, the tech crash, and 9/11 before it stopped working. As someone said earlier it might just be a decrease in volitility in that time period. Oh well.

Rottman the founder wsa very big in eurodollar options. Not sure how good he is now thought.

I should have said that "it was trading". It has been all backtesting. But I haven't optimized any parameters, so I don't think that was the problem. And my first outsample worked just like the first, it wsa the second that became the problem

A lot. I was trading around ten times a day for around 6 years.

I wasn't implying that with the Sharpe, I could tell you the "perfect" way to trade it. (Other people around here might try, but I don't think there is a "perfect solution.") Look at the DD, euqity curve, etc, and figure out what way you would be most comfortable. Does taking the "A" level...

No I didn't use penny stocks. I fact I drop any stock from the system if it drops below $20 Aaron I will look into the ATR. That sounds like a good place to start. Any ideas on a way to salvage a system if that indeed is the problem?

Not sure if there is a "correct" answer. Couple questions that I have, How do the Sharpe and/or max DD look. Stability vs maximizing profits would definitly play a part. What about .5 1 1.5 as sizing? Paly around with it a bit until you get something that you are comfortable with.

Thats a good point and might be the case. The profit went from around $120 a trade to around $10 a trade. It also collapsed very quickly. (If it was just volatility contracting, I would have assumed that it would decreased slowly.) It would be a profitable system at around $50 a trade...

I have been backtesting a pairs/regression to the mean, end of day strategy. I started to the backtesting in 1997. The system does extremely well until around 2003. Any ideas what could have changed? (It went from very profitable to almost random returns in 1 to 2 quarters time after having...

My trading system doesn't call for "proper stops" that you have alluded to. It also does other things that people aren't supposed to do like double up, etc. Works for me. Might not work for others. To each there own.

I love trading the first thirty minutes. Most of my days are made before 10:30. I agree with the last thiry minutes though. I hjave undone many a day in the last 30.